Nonreplication of options

DOI10.1111/J.1467-9965.2010.00467.XMaRDI QIDQ4906527zbMATH OpenOpenAlexFDO

Authors Christos E. Kountzakis, Ioannis A. Polyrakis, Foivos Xanthos

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00467.x

zbMATH Keywords

completion by optionspositive basesreplicated optionsstrongly resolving markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Maximal submarkets that replicate any option
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces: A computational approach
• Markets that don't replicate any option.
• On the non-existence of redundant options
• Computational methods for option replication

Cites work

• A General Equilibrium Analysis of Option and Stock Market Interactions
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• Finite-dimensional lattice-subspaces of 𝐶(Ω) and curves of ℝⁿ
• Markets that don't replicate any option.
• On the non-existence of redundant options
• Option spanning with exogenous information structure
• OPTIONS AND EFFICIENCY IN MULTIDATE SECURITY MARKETS
• Spanning and completeness in markets with contingent claims
• The completion of security markets

Cited in

(5)

• Option spanning beyond \(L_p\)-models
• A new characterization of markets that don't replicate any option through minimal-lattice subspaces. A computational approach
• Computation of replicated exercise prices by using positive bases
• Maximal submarkets that replicate any option
• On the non-existence of redundant options

This page was built for publication: Nonreplication of options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906527)